相对业绩对投资基金风险承担行为的影响研究

本文把投资基金市场视为一系列的"联赛"建立了一个博弈模型,从理论上研究了相对业绩对投资基金风险承担行为的影响。在模型中,两个年中业绩不同的基金为了在年末即"联赛"结束时获得更多新的资金流入从而获得更多的报酬而相互竞争。与人们的直觉相反,我们发现在年末时年中业绩较好的基金反而比年中业绩较差的基金更可能选择风险水平较高的投资组合。而且,年中业绩的差距越大、风险资产的收益越高、波动越低,在年末时年中业绩较好的基金选择风险较高的投资组合的概率越大;相应地,在年末时年中业绩较差的基金选择风险较高的投资组合的概率越小。最后,我们运用博弈原理和行为金融理论对这些结论作了解释。

A Study of the Effect of Relative Performance on the Risk-taking Behavior of Mutual Funds

In this paper,in order to theoretically study the effect of relative performance on the risk-taking be-havior of mutual funds,we view the mutual fund market as a series of tournaments and develop a game model.In the model,two funds with unequal midyear performances compete for new cash inflows,accordingly for more compensation at the end of year,when the tournament is ended.Contrary to people’s institution,we find that the fund with better midyear performance is more likely to choose a higher level of risk of protfolio than the fund with worse midyear performance.Moreover,the higher the midyear performance gap is,or the higher the risk as-set’s return or the lower risk asset’s volatility is,the larger the probability of choosing a higher level of risk of protfolio by the fund with better midyear performance;accordingly,the lower the probability of choosing a higher level of risk of protfolio by the fund with worse midyear performance.At last,according to the principle of game and the theory of behavior finance,we explain the results.